Noisyopt

Noisyopt: A python library for optimizing noisy functions. In some optimization problems a precise evaluation of the function to be optimized is either impossible or exceedingly computationally expensive. This package provides algorithms to optimize a function based on noisy evaluations. Currently the following algorithms are implemented: robust pattern search with adaptive sampling; simultaneous perturbation stochastic approximation; Both algorithms support bound constraints and do not require to explicitely calculate the gradient of the function.

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References in zbMATH (referenced in 1 article , 1 standard article )

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  1. Andreas Mayer: Noisyopt: A Python library for optimizing noisy functions (2017) not zbMATH